Zhang, Bin; PhD
DUKE UNIVERSITY, 1999
ECONOMICS, GENERAL (0501); ECONOMICS, FINANCE (0508)
This dissertation investigates the properties of dynamic model selection procedures
in empirical analysis
without reliance on a specific class of models. In the first chapter, probability
convergence rates of the
dimension estimators are derived using asymptotic approximates. We present the
convergence results
of model selection procedures for cases with and without model-class misspecifications.
Furthermore, a
robust consistent procedure is proposed to determine the specifications of more
complicated models,
such as continuous-time diffusion models, when the likelihood function is intractable.
In the second
chapter, Monte Carlo experiments are conducted to demonstrate the finite sample
performances of
various information criteria including BIC and PIC, and to corroborate the analytical
probability
convergence rates. To achieve these goals, we investigated a very comprehensive
list of models by
carefully controlling the key factors that can make our conclusions more scientific.
The Monte Carlo
results show that the approximated probability convergence rates are close representations
of the
empirical frequencies of misspecification in the dynamic model selection process.
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